Part A. Pt. 1. Multivariate Volatility Models -- Pt. 2. High Frequency Volatility Mnodels -- Pt. 3. Univariate Volatility Models -- Part B. Realized Beta: Persistence And Predictability -- Asymmetric Predictive Abilities Of Nonlinear Models For Stock Returns: Evidence From Density Forecast Comparison -- Flexible Seasonal Time Series Models -- Estimation Of Long-memory Time Series Models: A Survey Of Different Likelihood-based Methods -- Boosting-based Frameworks In Financial Modeling: Application To Symbolic Volatility Forecasting -- Overlaying Time Scales In Financial Volatility Data -- Evaluating The 'fed Model' Of Stock Price Valuation: An Out-of-sample Forecasting Perspective -- Structural Change As An Alternative To Long Memory In Financial Time Series -- Time Series Mean Level And Stochastic Volatility Modeling By Smooth Transition Autogressions: A Bayesian Approach -- Estimating Taylor-type Rules: An Unbalanced Regression? -- Bayesian Inference On Mixture-of-experts For Estimation Of Stochastic Volatility -- A Modern Time Series Assessment Of A Statistical Model For Sunspot Activity By C.w. Granger (1957) -- Personal Comments On Yoon's Discussion Of My 1957 Paper -- A New Class Of Tail-dependent Time-series Models And Its Applications In Financial Time Series. Edited By Dek Terrell, Thomas B. Fomby. Includes Bibliographical References.